Insurers, investors and regulators are interested in understanding the behavior of insurance company expenses, due to the high operating cost of the industry. Expense models can be used for prediction, to identify unusual behavior, and to measure firm efficiency. Current literature focuses on...

This article considers the estimation of insurers' cost-efficiency in a longitudinal context. The current practice ignores the tails of the cost distribution, where the most and least efficient insurers belong to. To address this issue, we propose a copula regression model to estimate insurers'...